proxying with msfpayload et al

[jeffs at speakeasy.net (Jeffs)]

I know that you cannot use a reverse connect payload with proxies, but 
what if the payload is sitting on a machine that has access to proxies?  
Can you push the connection through the proxy? Or in the alternate can 
you compile the payload with msfpayload and specify a proxy to use in 
that process?

I tried proxychains to push the connection through a proxy but it 
doesn't seem to work.

Thanks.